Sökning: "baltaev"

Hittade 3 uppsatser innehållade ordet baltaev.

1. 1. Predicting Corporate Defaults: Evaluating Moody's Credit Rating Institute

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Baltaev; Ivaylo Chavdarov; [2014]
   Nyckelord :Credit Ratings.; Probability of Default; Logistic Regression; Merton Model; Moody s; Business and Economics;

   Sammanfattning : The ability of the Merton model and the logistic regression to accurately forecast corporate defaults is evaluated. Additionally, the probability-of-default (PD) estimates obtained from these two models are compared with the corresponding rating class historic default rates presented by Moody’s. LÄS MER

3. 2. Econometric Methods and Monte Carlo Simulations for Financial Risk Management

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Baltaev; Ivaylo Chavdarov; [2013]
   Nyckelord :Value-at-Risk; GARCH; Monte Carlo; Global Financial Crisis.; Business and Economics;

   Sammanfattning : Value-at-Risk (VaR) forecasting in the context of Monte Carlo simulations is evaluated. A range of parametric models is considered, namely the traditional Generalized Autore- gressive Conditional Heteroscedasticity (GARCH) model, the exponential GARCH and the GJR-GARCH, which are put in the context of the Gaussian and Student-t distri- butions. LÄS MER

4. 3. Överavkastning och Black Swans

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Baltaev; Aleksandar Petrovic; [2012]
   Nyckelord :CAPM; Portfolio strategy; Mean reversion; Stocks; Beta; Black Swan; Business and Economics;

   Sammanfattning : Unlike other research on Black Swans, beta and returns, we have in this study chosen to identify Black Swans with three different definitions. When index fluctuates with more than 2.75, 3.0 or 3. LÄS MER